Multi-period Asset Allocation SmartFolio Theoretical Background

Автор неизвестен. — Modern Investment Technologies, 2008. — 59 с. (на англ. языке)Излагактся современная портфельная теория инвестиций.General Information.
Chapters Overview.
Correction Of Historical Prices.
Types Of Returns.
Analytical Model.
Analytical Model Of Financial Market.
Portfolio Analytics.
Definitions.
Analytical Portfolio.
Historical Portfolio.
Portfolio Optimization.
Utility Functions.
Measures Of Risk Aversion.
Utility Functions Approach Vs Mean-Variance Approach.
Efficient Frontier.
Optimality Criteria.
Worst-Case Scenario Optimization.
Walk-Forward Optimization.
Factor-Based Asset Pricing Models.
General Approach.
Capital Asset Pricing Model.
Fama-French -Factor Asset Pricing Model.
Model Parameter Estimation.
Maximum Likelihood Estimates Of Means And Covariances.
Advanced Estimates.
The Black-Litterman Model.
Dynamic Portfolio Strategies.
Portfolio Insurance.
Proportional Transaction Costs And Inaction Region.
Risk Management Tools.
Definitions.
Calculation Techniques.
Appendices.
Appendix A Block Bootstrapping Algorithm.
Appendix B Downside Volatility.
Appendix C Investments Ranking And Performance Measures.
Appendix D Selected Definitions.Useful Links.
Table Of Symbols.